标题: Reading 71: Option Markets and Contracts-LOS c 习题精选 [打印本页]
作者: 1215 时间: 2011-3-31 12:06 标题: [2011]Session17-Reading 71: Option Markets and Contracts-LOS c 习题精选
Session 17: Derivatives
Reading 71: Option Markets and Contracts
LOS c: Define the concept of moneyness of an option.
Consider a put option on Deter, Inc., with an exercise price of $45. The current stock price of Deter is $52. What is the intrinsic value of the put option, and is the put option at-the-money or out-of-the-money?
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Intrinsic Value |
Moneyness |
The option has an intrinsic value of $0, because the stock price is above the exercise price. Put value is MAX (0, X-S). Equivalently, the option is out-of-the-money.
作者: 1215 时间: 2011-3-31 12:06
Bidco Corporation common stock has a market value of $30.00. Which statement about put and call options available on Bidco common is most accurate?
|
A) |
A call with a strike price of $25.00 is at-the-money. | |
|
B) |
A put with a strike price of $20.00 has intrinsic value. | |
|
C) |
A put with a strike price of $35.00 is in-the-money. | |
A put is in-the-money when its exercise price is higher than the market value of the underlying asset. A put with a $35.00 strike price allows the trader to sell 100 shares of stock for $35.00 per share, which is $5.00 higher than the prevailing market value. This gives the put a value, hence, it is in-the-money. For a call to be in-the-money, its strike price would have to be lower than the market value of the underlying common stock, allowing the trader to purchase 100 shares at a price below the prevailing market value. At-the-money is when the strike price and asset market value are equal. A put with a strike price of $20.00 does not have intrinsic value because it is below the $30 price of the stock. It does have time value meaning it is worth something because there is the possibility the put will come into the money before it expires.
作者: 1215 时间: 2011-3-31 12:06
James Anthony has a short position in a put option with a strike price of $94. If the stock price is below $94 at expiration, what will happen to Anthony’s short position in the option?
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A) |
He will have the option exercised against him at $94 by the person who is long the put option. | |
|
B) |
The person who is long the put option will not exercise the put option. | |
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C) |
He will let the option expire. | |
Anthony has sold the right to sell the stock at $94. That is, he received a payment upfront for the payer to have the right but not the obligation to sell the stock at $94. Because the option is in-the-money at expiration, MAX (0, X-S), the holder will exercise his right to sell at $94.
作者: 1215 时间: 2011-3-31 12:06
A call option that is in the money:
|
A) |
has an exercise price greater than the market price of the asset. | |
|
B) |
has a value greater than its purchase price. | |
|
C) |
has an exercise price less than the market price of the asset. | |
A call option is in the money when the exercise price is less than the market price of the asset.
作者: 1215 时间: 2011-3-31 12:07
Which of the following statements about uncovered call options is least accurate?
|
A) |
The loss potential to the writer is unlimited. | |
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B) |
The most the writer can make is the premium plus the difference between the exercise price (X) and the stock price (S). | |
|
C) |
The profit potential to the holder is unlimited. | |
The most the writer can make is the premium. If the writer wrote a covered out of the money call, then the writer would make the premium plus the increase in the stock's price X-S.
作者: 1215 时间: 2011-3-31 12:07
A put option currently has an option premium of $3 and a strike price of $40. The market price of the stock is $42 at expiration. The expiration day value of the option is:
The expiration day value of the put is $0 because it is trading out-of the money.
作者: 1215 时间: 2011-3-31 12:07
Which of the following statements about moneyness is most accurate? When the stock price is:
|
A) |
above the strike price, a put option is in-the-money. | |
|
B) |
below the strike price, a call option is in-the-money. | |
|
C) |
above the strike price, a put option is out-of-the-money. | |
When the stock price is above the strike price, a put option is out-of-the-money.
When the stock price is below the strike price, a call option is out-of-the-money.
作者: 1215 时间: 2011-3-31 12:07
A put option is “in-the-money” when:
|
A) |
the stock price is lower than the exercise price of the option. | |
|
B) |
there is no put option with a lower exercise price in the expiration series. | |
|
C) |
the stock price is higher than the exercise price of the option. | |
The put option is in-the-money if the stock price is below the exercise price.
作者: 1215 时间: 2011-3-31 12:08
An out-of-the-money put and an in-the-money call are defined as:
|
A) |
| strike price > market price |
market price > strike price | | |
|
B) |
| market price > strike price |
market price > strike price | | |
|
C) |
| market price > strike price |
strike price > market price | | |
In-the-money put: strike > market; out-of-the-money put: market > strike.
In-the-money call: market > strike; out of the money call: strike > market.
作者: 1215 时间: 2011-3-31 12:08
Basil, Inc., common stock has a market value of $47.50. A put available on Basil stock has a strike price of $55.00 and is selling for an option premium of $10.00. The put is:
|
A) |
out-of-the-money by $2.50. | |
|
B) |
in-the-money by $10.00. | |
|
C) |
in-the-money by $7.50. | |
The put allows a trader to sell Basil common stock for $7.50 more than the current market value ($55.00 ? $47.50). The trade is normally closed out with a cash settlement, but the trader could buy 100 shares for $47.50 per share and immediately sell them to the option writer for $55.00.
作者: 1215 时间: 2011-3-31 12:08
An investor would exercise a put option when the:
|
A) |
price of the stock is below the strike price. | |
|
B) |
price of the stock is equal to the strike price. | |
|
C) |
price of the stock is above the strike price. | |
A put option gives its owner the right to sell the underlying good at a specified price (strike price) for a specified time period. When the stock's price is less than the strike price a put option has value and is said to be in-the-money.
作者: luqian55 时间: 2011-10-8 11:12
thanks a lot
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